Bio

Adrian Walton is an Assistant Director in the Financial Markets Department at the Bank of Canada. His research focuses on how the rules and conventions that govern trading in financial assets affect market functioning, specifically in Canadian equity and fixed-income markets. 

Research Field(s): Applied Microeconomics Empirical Finance Market Microstructure

Staff research

Government of Canada Fixed-Income Market Ecology II: Government of Canada Bond Dealing

Staff analytical paper 2026-11 Petr Kocourek, Adrian Walton
This analytical paper examines the organization of Government of Canada bond dealing. We focus on dealers’ hedging and funding practices, the market infrastructures that support those practices, and trading costs across the yield curve. This paper builds on earlier work discussing Canada’s fixed-income market: "Government of Canada Fixed-Income Market Ecology."
Content Type(s): Staff research, Staff analytical paper JEL Code(s): G, G1, G10, G2, G20, H, H6, H63 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Repo transaction costs and balance sheet frictions

Staff analytical paper 2026-10 Yanis Belkacem, Fabienne Schneider, Adrian Walton
We develop an approach to quantify transaction costs in the repo market using OTC transaction data, where quoted bid-ask spreads are not observable. By estimating effective spreads at the level of individual trades, we construct a novel metric to evaluate intermediation costs across different segments of the market.
Content Type(s): Staff research, Staff analytical paper JEL Code(s): G, G1, G10, G12, G2, G20 Research Theme(s): Financial markets and funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Hedge funds and their trading strategies in the Government of Canada bond market

Sparks at Bank article Andreas Uthemann, Adrian Walton
Hedge funds are active in Canadian government bond markets and help improve market efficiency. But their trading strategies are not well understood. We offer insights into the range of strategies hedge funds use beyond the more commonly known cash-futures basis trade. We also explore the concentration of trading activity among a few large funds.
Content Type(s): Staff research, Sparks at Bank article Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Liquidity risks at Canadian life insurance companies

Staff analytical note 2024-7 Patrick Aldridge, Stephane Gignac, Rishi Vala, Adrian Walton
We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G14, G2, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk

Fixed-income dealing and central bank interventions

Staff analytical note 2022-9 David Cimon, Adrian Walton
We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation

Potential netting benefits from expanded central clearing in Canada’s fixed-income market

Staff analytical note 2022-8 Jessie Ziqing Chen, Johannes Chen, Shamarthi Ghosh, Manu Pandey, Adrian Walton
We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.
Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, G, G1, G12, G2, G21, G29 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures

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Journal publications

Refereed journals

  • “Central bank liquidity facilities and market making” (with David Cimon), 2024, Journal of Banking & Finance
  • “Speed segmentation on exchanges: Competition for slow flow" (with Lisa Anderson, Emad Andrews, Baiju Devani, and Michael Mueller), 2022, Journal of Financial Markets
  • “Alternative futures for Government of Canada debt management" (with Corey Garriott, Sophie Lefebvre, Guillaume Nolin, and Francisco Rivadeneyra), 2020, Journal of Financial Economic Policy
  • “Retail Order Flow Segmentation” (with Corey Garriott), 2018, The Journal of Trading